The spot price of an asset is $30 and the risk-free rate

for all maturities is 10% with continuous compounding. The asset provides an

income of $2 at the end of the first year and at the end of the second year.

What is the three-year forward price?

The price of a stock on February 1 is $62. A trader sells 100 put options on the stock with a strike price of $60 when the option price is $2.5. The options are exercised when the stock price is $55. The trader’s net profit or loss is

A company enters into a long futures contract to buy 2,000 units of a commodity for $120 per unit. The initial margin is $12,000 and the maintenance margin is $8,000. What futures price will allow $4,000 to be withdrawn from the margin account?

A company

can invest funds for five years at

A speculator can choose between buying 50 shares of a stock for $20 per share and buying 500 European call options on the stock with a strike price of $22.5 for $2 per option. For second alternative to give a better outcome at the option maturity, the stock price must be above

A company enters into a short futures contract to sell 100,000 units of a commodity for 35 cents per unit. The initial margin is $4,000 and the maintenance margin is $3,000. What is the futures price per unit above which there will be a margin call?

A short

forward contract that was negotiated some time ago will expire in three months

and has a delivery price of $40. The current forward price for three-month

forward contract is $42. The three-month risk-free interest rate (with

continuous compounding) is 8%. What is the value of the short forward contract?

The price of a stock on July 1 is $114. A trader buys 500 call options on the stock with a strike price of $120 when the option price is $4. The options are exercised when the stock price is $130. The trader’s net profit is

A $150

million interest rate swap has a remaining life of 9 months. Under the terms of

the swap, six-month SOFR is exchanged for 5% per annum (compounded

semi-annually).